Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1418
Annualized Std Dev 0.2499
Annualized Sharpe (Rf=0%) 0.5675

Row

Daily Return Statistics

Close
Observations 3740.0000
NAs 1.0000
Minimum -0.1254
Quartile 1 -0.0066
Median 0.0012
Arithmetic Mean 0.0007
Geometric Mean 0.0005
Quartile 3 0.0086
Maximum 0.1389
SE Mean 0.0003
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0012
Variance 0.0002
Stdev 0.0157
Skewness -0.1820
Kurtosis 6.2802

Downside Risk

Close
Semi Deviation 0.0114
Gain Deviation 0.0107
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0158
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.5886
Historical VaR (95%) -0.0253
Historical ES (95%) -0.0374
Modified VaR (95%) -0.0240
Modified ES (95%) -0.0414
From Trough To Depth Length To Trough Recovery
2007-10-19 2008-11-20 2010-10-27 -0.5886 760 275 485
2020-02-20 2020-03-16 2020-07-02 -0.3230 94 18 76
2011-02-22 2011-08-19 2012-03-15 -0.2663 269 126 143
2018-03-13 2018-12-24 2019-03-21 -0.2332 258 199 59
2006-05-10 2006-07-21 2006-11-08 -0.2129 121 48 73

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA -1.3 2.8 1.3 -1.6 -0.2 -0.1 -1.5 -1.4 -0.4 -2.4
2007 0.4 -0.7 0.2 -0.2 0.4 0.2 0.3 1.9 1.2 -1.5 -1.6 -1 -0.4
2008 3.2 -3.2 4.5 3.8 1.7 0.5 -1 -2.8 0 0.8 -8.1 2 0.8
2009 -3.4 -0.6 1.1 0.5 4 1 0.1 -2.1 -2.8 -2.9 1.8 -1 -4.5
2010 2.1 2.1 -0.2 -2.7 -2 0.1 -0.1 3 0 -0.2 2.8 -0.4 4.5
2011 2.4 -2 -0.2 -0.1 -2.7 1.7 -0.3 -1.4 -3 -2.9 0.5 -0.2 -8.1
2012 2.3 0.5 0.1 0.7 -3.2 4.2 -0.2 0.9 -0.2 2.9 -0.4 1.7 9.6
2013 1.2 0.3 -1.1 -0.9 -0.9 0.1 1.5 -0.6 0.8 0 0.3 0.5 1.1
2014 -0.3 -0.9 1.7 0.2 -0.1 1.2 -0.3 0.6 -2.1 2.1 -1.2 -0.8 -0.1
2015 -1.9 -0.2 -0.6 1.6 0.3 0.4 -0.6 -3 -0.7 0.7 1.1 -1.4 -4.4
2016 0.6 3 0.4 -1.9 0 -0.6 0 0.7 0.7 -1.2 -3.7 -1.1 -3.2
2017 0.4 1.5 -0.2 0.9 0.2 -0.4 0.4 0.2 1 -0.7 -0.6 -0.8 1.9
2018 -0.7 -1.4 1.7 1.1 1.8 0.5 -0.4 0.2 0 3 1.6 0.8 8.4
2019 1.1 0.8 2.3 -0.9 -1.5 2.3 -0.9 0.3 -1.1 1.8 -0.7 0.3 3.7
2020 -2.7 1.1 -5 -4.4 -0.2 -0.2 0.5 2.2 1.9 -1.5 1.1 0 -7.4
2021 3.2 3.5 0.9 NA NA NA NA NA NA NA NA NA 7.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-04-25  19.6 SPY    130. -0.0041  -0.0025   0.00120   0.0302    0.121    0.427   0.0514 GLD    62.8  0.0183   0.015 
2 2006-04-26  19.7 SPY    130.  0.0002  -0.0042   0.00290   0.0295    0.132    0.445   0.0378 GLD    63.6  0.0139  -0.0016
3 2006-04-27  19.9 SPY    131.  0.00480 -0.0008   0.014     0.0288    0.133    0.428   0.0524 GLD    63.0 -0.0108   0.0328
4 2006-04-28  19.7 SPY    131.  0.0034   0.00240  0.0111    0.0228    0.151    0.432   0.0755 GLD    65.1  0.0338   0.0299
5 2006-05-01  19.5 SPY    130. -0.0081  -0.0039   0.0046    0.0153    0.127    0.419   0.0725 GLD    65.2  0.0011   0.0569
6 2006-05-03  19.7 SPY    131. -0.0037   0.0038   0.0089    0.0195    0.123    0.404   0.058  GLD    66.5 -0.0014   0.0441
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart